Massimiliano Caporin

Publication Activity (10 Years)

Years Active: 2005-2024
Publications (10 Years): 4

Top Topics

Multivariate Time Series

Quantile Regression

Mixture Modeling

Cross Validated

Top Venues

Comput. Stat. Data Anal.

Math. Comput. Simul.

Expert Syst. Appl.

Comput. Manag. Sci.

Publications

F. Setoudehtazangi, T. Manouchehri, A. R. Nematollahi, Massimiliano Caporin
Time series clustering based on latent volatility mixture modeling with applications in finance. Math. Comput. Simul. 223 (2024)
Massimiliano Caporin, Laura Garcia-Jorcano, Juan-Angel Jimenez-Martin
Early warnings of systemic risk using one-minute high-frequency data. Expert Syst. Appl. 252 (2024)
Giovanni Bonaccolto, Massimiliano Caporin, Bertrand B. Maillet
conditional expected shortfalls. Eur. J. Oper. Res. 298 (1) (2022)
Giovanni Bonaccolto, Massimiliano Caporin, Sandra Paterlini
Asset allocation strategies based on penalized quantile regression. Comput. Manag. Sci. 15 (1) (2018)
Massimiliano Caporin, Michael McAleer
Robust ranking of multivariate GARCH models by problem dimension. Comput. Stat. Data Anal. 76 (2014)
Gian Piero Aielli, Massimiliano Caporin
Variance clustering improved dynamic conditional correlation MGARCH estimators. Comput. Stat. Data Anal. 76 (2014)
Gian Piero Aielli, Massimiliano Caporin
Fast clustering of GARCH processes via Gaussian mixture models. Math. Comput. Simul. 94 (2013)
Massimiliano Caporin, Juliusz Pres
Modelling and forecasting wind speed intensity for weather risk management. Comput. Stat. Data Anal. 56 (11) (2012)
Monica Billio, Massimiliano Caporin
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion. Comput. Stat. Data Anal. 54 (11) (2010)
Massimiliano Caporin, Francesco Lisi
Misspecification tests for periodic long memory GARCH models. Stat. Methods Appl. 19 (1) (2010)
Monica Billio, Massimiliano Caporin
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation. Math. Comput. Simul. 79 (8) (2009)
Silvano Bordignon, Massimiliano Caporin, Francesco Lisi
Generalised long-memory GARCH models for intra-daily volatility. Comput. Stat. Data Anal. 51 (12) (2007)
Monica Billio, Massimiliano Caporin
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Stat. Methods Appl. 14 (2) (2005)